The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry

The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry

AbstractThis study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia’s banking industry using quantile regression (QR) approach. Four large banks whose capital and assets were the biggest were observed, and their selection was based on their market share in the industry. To...

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Bibliographic Details
Main Authors: Siti Saadah, Yohanes B. Suhartoko, Stanislaus S. Uyanto, Inka B. Yusgiantoro
Format: Article
Language:English
Published: Taylor & Francis Group 2024-12-01
Series:Cogent Business & Management
Subjects:
Value-at-risk
foreign exchange market risk
quantile regression
backtesting
Indonesia banking industry
David McMillan, University of Stirling, Stirling, United Kingdom
Online Access:https://www.tandfonline.com/doi/10.1080/23311975.2024.2305606

Internet

https://www.tandfonline.com/doi/10.1080/23311975.2024.2305606

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